confidenceintervalsofvariancefunctionsingeneralizedlinearmodel

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	confidenceintervalsofvariancefunctionsingeneralizedlinearmodel
	Yong Zhou; Daoji Li
刊名	actamathematicaeapplicataesinica
	2006
卷号	22 期号:3 页码:353
ISSN号	0168-9673
英文摘要	In this paper we introduce an appealing nonparametric method for estimating variance and conditional variance functions in generalized linear models （GLMs）, when designs are fixed points and random variables respectively, Bias-corrected confidence bands are proposed for the （conditional） variance by local linear smoothers. Nonparametric techniques are developed in deriving the bias-corrected confidence intervals of the （conditional） variance. The asymptotic distribution of the proposed estimator is established and show that the bias-corrected confidence bands asymptotically have the correct coverage properties. A small simulation is performed when unknown regression parameter is estimated by nonparametric quasi-likelihood. The results are also applicable to nonparamctric autoregressive times series model with heteroscedastic conditional variance.
语种	英语
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/45647]
专题	应用数学研究所
作者单位	中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Yong Zhou,Daoji Li. confidenceintervalsofvariancefunctionsingeneralizedlinearmodel[J]. actamathematicaeapplicataesinica,2006,22(3):353.
APA	Yong Zhou,&Daoji Li.(2006).confidenceintervalsofvariancefunctionsingeneralizedlinearmodel.actamathematicaeapplicataesinica,22(3),353.
MLA	Yong Zhou,et al."confidenceintervalsofvariancefunctionsingeneralizedlinearmodel".actamathematicaeapplicataesinica 22.3(2006):353.